How to Detect and Fix Tick Sequence Gaps in Live Precious Metals Data Streams
Instructors running cloud-based quantitative coding labs have identified sequence ID gaps in WebSocket-streamed gold market data as a recurring problem that silently corrupts backtesting results. These gaps arise from three main causes: network packet loss, WebSocket reconnections, and single-threaded code where slow processing causes incoming ticks to be dropped. Two detection approaches are taught: a simpler post-collection scan suited for small assignments, and a preferred real-time check that flags gaps immediately after each tick is parsed, before data reaches storage. Students are strictly prohibited from filling gaps with synthetic price data, and are instead guided to use either API-based historical backfills or in-memory circular caches depending on their project needs. The real-time detection method is recommended for all intermediate and advanced submissions due to its low compute overhead and compatibility with serverless and low-spec cloud environments.
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